Asymmetrical herding in cryptocurrency: Impact of COVID 19

【Author】 Bharti; Kumar, Ashish

【Source】QUANTITATIVE FINANCE AND ECONOMICS

【影响因子】0.000

【Abstract】This paper examines the evidence of herding in the revolutionary cryptocurrency market for the period from January 2017 to December 2020. The study employs quantile regression technique for investigating herd behaviour during market asymmetries of rising and falling returns, extreme market returns, high volatility, and the exogenous event of the COVID-19 pandemic. The results provide evidence of pronounced herding during the bull phase, extreme down-markets, and high volatility. These results indicate that herd hunch is prevalent in the cryptocurrency market as investors exhibit imitation while ignoring their own knowledge and beliefs. Also, the phenomenon is more vividly observed during the panic period of COVID-19.

【Keywords】cryptocurrency; herding behaviour; cross-sectional absolute deviation; market asymmetry; quantile regression

【发表时间】2022

【收录时间】2022-06-29

【文献类型】实证性文章

【主题类别】

区块链应用-虚拟经济-金融领域